On dependence structure of copula-based Markov chains. (10th October 2014)

• Record Type: Journal Article
• Authors: Longla, Martial
• Is Part Of: ESAIM. Volume 18(2014)
• Page Start: 570
• Page End: 583
• Publication Date: 2014-10-10
• Subjects: Markov chains, -- copula, -- mixing, -- reversible processes, -- ergodicity, -- small sets; Probabilities -- Periodicals; Mathematical statistics -- Periodicals; 519.2
• DOI: 10.1051/ps/2013052
• Languages: English
• ISSNs: 1292-8100

Abstract

Abstract : We consider dependence coefficients for stationary Markov chains. We emphasize on some equivalencies for reversible Markov chains. We improve some known results and provide a necessary condition for Markov chains based on Archimedean copulas to be exponential ρ -mixing. We analyse the example of the Mardia and Frechet copula families using small sets.